An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500
87 p.
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2011
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| Online Access: | http://hdl.handle.net/10356/47311 |
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sg-ntu-dr.10356-473112024-01-12T10:30:22Z An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 Anthony, Fernandes Victor Nilanjan Sen Nanyang Business School DRNTU::Business::Finance::Equity 87 p. Many studies have documented the presence of momentum in stocks as well as stock mutual funds, and despite such findings these anomalies still persist. Recent studies, however, have identified transaction and impact cost issues and scalability constraints posed by stock momentum strategies. In contrast, given the transactional framework within which they are traded, open-end stock mutual funds provide a far better platform to implement momentum-based strategies. Our empirical model is developed and tested on a sample comprising the entire openend stock mutual fund universe in the U.S. Unlike prior research, our approach proposes that past momentum is better defined by using more than one past period returns performance. The portfolio construction approach adopted is sensitive to the size of the fund being invested in and scalability of the strategy is also evaluated. The algorithm developed by our research delivers portfolio performance economically superior to the S&P 500 Index. Master of Business 2011-12-27T07:02:41Z 2011-12-27T07:02:41Z 2011 Thesis http://hdl.handle.net/10356/47311 Nanyang Technological University application/pdf |
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DRNTU::Business::Finance::Equity Anthony, Fernandes Victor An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| description |
87 p. |
| author2 |
Nilanjan Sen |
| author_facet |
Nilanjan Sen Anthony, Fernandes Victor |
| format |
Theses and Dissertations |
| author |
Anthony, Fernandes Victor |
| author_sort |
Anthony, Fernandes Victor |
| title |
An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| title_short |
An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| title_full |
An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| title_fullStr |
An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| title_full_unstemmed |
An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500 |
| title_sort |
algorithm for a dynamically reconstituting portfolio of u.s. equity mutual funds to outperform the s&p 500 |
| publishDate |
2011 |
| url |
http://hdl.handle.net/10356/47311 |
| _version_ |
1789483192186568704 |